Home » date » 2009 » Nov » 30 »

d=2 en D=1

*The author of this computation has been verified*

R Software Module: /rwasp_autocorrelation.wasp (opens new window with default values)

Title produced by software: (Partial) Autocorrelation Function

Date of computation: Mon, 30 Nov 2009 12:33:11 -0700

Cite this page as follows:

Statistical Computations at FreeStatistics.org, Office for Research Development and Education, URL http://www.freestatistics.org/blog/date/2009/Nov/30/t12596096469l58k333ovunggw.htm/, Retrieved Mon, 30 Nov 2009 20:34:08 +0100

BibTeX entries for LaTeX users:

@Manual{KEY,
    author = {{YOUR NAME}},
    publisher = {Office for Research Development and Education},
    title = {Statistical Computations at FreeStatistics.org, URL http://www.freestatistics.org/blog/date/2009/Nov/30/t12596096469l58k333ovunggw.htm/},
    year = {2009},
}
@Manual{R,
    title = {R: A Language and Environment for Statistical Computing},
    author = {{R Development Core Team}},
    organization = {R Foundation for Statistical Computing},
    address = {Vienna, Austria},
    year = {2009},
    note = {{ISBN} 3-900051-07-0},
    url = {http://www.R-project.org},
}

Original text written by user:

IsPrivate?

No (this computation is public)

User-defined keywords:

Dataseries X:

» Textbox « » Textfile « » CSV «

244.576 241.572 240.541 236.089 236.997 264.579 270.349 269.645 267.037 258.113 262.813 267.413 267.366 264.777 258.863 254.844 254.868 277.267 285.351 286.602 283.042 276.687 277.915 277.128 277.103 275.037 270.150 267.140 264.993 287.259 291.186 292.300 288.186 281.477 282.656 280.190 280.408 276.836 275.216 274.352 271.311 289.802 290.726 292.300 278.506 269.826 265.861 269.034 264.176 255.198 253.353 246.057 235.372 258.556 260.993 254.663 250.643 243.422 247.105 248.541 245.039 237.080 237.085 225.554 226.839 247.934 248.333 246.969 245.098 246.263 255.765 264.319 268.347 273.046 273.963 267.430 271.993 292.710 295.881

Output produced by software:

Summary of computational transaction
Raw Input	view raw input (R code)
Raw Output	view raw output of R engine
Computing time	2 seconds
R Server	'Gwilym Jenkins' @ 72.249.127.135

Autocorrelation Function
Time lag k	ACF(k)	T-STAT	P-value
1	-0.598369	-4.8242	4e-06
2	0.075172	0.6061	0.273294
3	0.098939	0.7977	0.213982
4	-0.024608	-0.1984	0.421676
5	-0.131894	-1.0634	0.145775
6	0.147693	1.1907	0.119043
7	-0.115067	-0.9277	0.178498
8	0.077636	0.6259	0.266779
9	0.064767	0.5222	0.301664
10	-0.321848	-2.5948	0.005843
11	0.481153	3.8792	0.000124
12	-0.349456	-2.8174	0.003203
13	0.059633	0.4808	0.316146
14	0.044367	0.3577	0.360864
15	0.064508	0.5201	0.302388
16	-0.152225	-1.2273	0.112073
17	0.176546	1.4234	0.079707
18	-0.150319	-1.2119	0.114966
19	0.103959	0.8381	0.20251
20	-0.033399	-0.2693	0.394286
21	-0.080753	-0.651	0.258655
22	0.146657	1.1824	0.12068
23	-0.092402	-0.745	0.229488
24	-0.005177	-0.0417	0.483419
25	-0.029542	-0.2382	0.406246
26	0.107187	0.8642	0.195337
27	-0.091958	-0.7414	0.230564
28	0.017784	0.1434	0.443216
29	0.025506	0.2056	0.418858
30	-0.019929	-0.1607	0.436426
31	-0.037568	-0.3029	0.381472
32	0.079216	0.6387	0.262645
33	-0.020505	-0.1653	0.434605
34	-0.084767	-0.6834	0.248387
35	0.153802	1.24	0.109718
36	-0.133806	-1.0788	0.142337

Partial Autocorrelation Function
Time lag k	PACF(k)	T-STAT	P-value
1	-0.598369	-4.8242	4e-06
2	-0.440643	-3.5526	0.000358
3	-0.193166	-1.5574	0.062122
4	-0.001688	-0.0136	0.494593
5	-0.163464	-1.3179	0.096084
6	-0.10315	-0.8316	0.204334
7	-0.181827	-1.4659	0.073744
8	-0.07952	-0.6411	0.261853
9	0.156224	1.2595	0.106174
10	-0.358326	-2.8889	0.002623
11	0.133444	1.0759	0.142983
12	-0.033662	-0.2714	0.393474
13	-0.07135	-0.5752	0.283558
14	-0.141817	-1.1434	0.12854
15	-0.050702	-0.4088	0.342024
16	0.059615	0.4806	0.316197
17	0.056393	0.4547	0.325437
18	-0.02807	-0.2263	0.410837
19	0.02617	0.211	0.416778
20	-0.035966	-0.29	0.386381
21	0.080948	0.6526	0.258151
22	-0.044598	-0.3596	0.36017
23	0.029023	0.234	0.407864
24	0.029622	0.2388	0.405998
25	-0.13994	-1.1282	0.131685
26	-0.077814	-0.6274	0.266312
27	0.040619	0.3275	0.372179
28	-0.090612	-0.7305	0.233845
29	0.054721	0.4412	0.330276
30	-0.151054	-1.2178	0.113844
31	-0.128184	-1.0335	0.152611
32	0.007703	0.0621	0.475336
33	0.02876	0.2319	0.408684
34	-0.154466	-1.2453	0.108738
35	0.00936	0.0755	0.470038
36	0.016098	0.1298	0.448568

Charts produced by software:

http://www.freestatistics.org/blog/date/2009/Nov/30/t12596096469l58k333ovunggw/1f4bt1259609588.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t12596096469l58k333ovunggw/1f4bt1259609588.ps (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t12596096469l58k333ovunggw/2rxan1259609588.png (open in new window)

http://www.freestatistics.org/blog/date/2009/Nov/30/t12596096469l58k333ovunggw/2rxan1259609588.ps (open in new window)

Parameters (Session):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

Parameters (R input):

par1 = 36 ; par2 = 1 ; par3 = 2 ; par4 = 1 ; par5 = 12 ; par6 = MA ; par7 = 0.95 ;

R code (references can be found in the software module):

if (par1 == 'Default') {

par1 = 10*log10(length(x))

} else {

par1 <- as.numeric(par1)

}

par2 <- as.numeric(par2)

par3 <- as.numeric(par3)

par4 <- as.numeric(par4)

par5 <- as.numeric(par5)

if (par6 == 'White Noise') par6 <- 'white' else par6 <- 'ma'

par7 <- as.numeric(par7)

if (par2 == 0) {

x <- log(x)

} else {

x <- (x ^ par2 - 1) / par2

}

if (par3 > 0) x <- diff(x,lag=1,difference=par3)

if (par4 > 0) x <- diff(x,lag=par5,difference=par4)

bitmap(file='pic1.png')

racf <- acf(x, par1, main='Autocorrelation', xlab='time lag', ylab='ACF', ci.type=par6, ci=par7, sub=paste('(lambda=',par2,', d=',par3,', D=',par4,', CI=', par7, ', CI type=',par6,')',sep=''))

dev.off()

bitmap(file='pic2.png')

rpacf <- pacf(x,par1,main='Partial Autocorrelation',xlab='lags',ylab='PACF')

dev.off()

(myacf <- c(racf$acf))

(mypacf <- c(rpacf$acf))

lengthx <- length(x)

sqrtn <- sqrt(lengthx)

load(file='createtable')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','ACF(k)','click here for more information about the Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 2:(par1+1)) {

a<-table.row.start(a)

a<-table.element(a,i-1,header=TRUE)

a<-table.element(a,round(myacf[i],6))

mytstat <- myacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable.tab')

a<-table.start()

a<-table.row.start(a)

a<-table.element(a,'Partial Autocorrelation Function',4,TRUE)

a<-table.row.end(a)

a<-table.row.start(a)

a<-table.element(a,'Time lag k',header=TRUE)

a<-table.element(a,hyperlink('http://www.xycoon.com/basics.htm','PACF(k)','click here for more information about the Partial Autocorrelation Function'),header=TRUE)

a<-table.element(a,'T-STAT',header=TRUE)

a<-table.element(a,'P-value',header=TRUE)

a<-table.row.end(a)

for (i in 1:par1) {

a<-table.row.start(a)

a<-table.element(a,i,header=TRUE)

a<-table.element(a,round(mypacf[i],6))

mytstat <- mypacf[i]*sqrtn

a<-table.element(a,round(mytstat,4))

a<-table.element(a,round(1-pt(abs(mytstat),lengthx),6))

a<-table.row.end(a)

}

a<-table.end(a)

table.save(a,file='mytable1.tab')

This work is licensed under a Creative Commons Attribution-Noncommercial-Share Alike 3.0 License.

Software written by Ed van Stee & Patrick Wessa

Disclaimer

Information provided on this web site is provided "AS IS" without warranty of any kind, either express or implied, including, without limitation, warranties of merchantability, fitness for a particular purpose, and noninfringement. We use reasonable efforts to include accurate and timely information and periodically update the information, and software without notice. However, we make no warranties or representations as to the accuracy or completeness of such information (or software), and we assume no liability or responsibility for errors or omissions in the content of this web site, or any software bugs in online applications. Your use of this web site is AT YOUR OWN RISK. Under no circumstances and under no legal theory shall we be liable to you or any other person for any direct, indirect, special, incidental, exemplary, or consequential damages arising from your access to, or use of, this web site.

We may request personal information to be submitted to our servers in order to be able to:

personalize online software applications according to your needs
enforce strict security rules with respect to the data that you upload (e.g. statistical data)
manage user sessions of online applications
alert you about important changes or upgrades in resources or applications

We NEVER allow other companies to directly offer registered users information about their products and services. Banner references and hyperlinks of third parties NEVER contain any personal data of the visitor.

We do NOT sell, nor transmit by any means, personal information, nor statistical data series uploaded by you to third parties.

We carefully protect your data from loss, misuse, alteration, and destruction. However, at any time, and under any circumstance you are solely responsible for managing your passwords, and keeping them secret.

We store a unique ANONYMOUS USER ID in the form of a small 'Cookie' on your computer. This allows us to track your progress when using this website which is necessary to create state-dependent features. The cookie is used for NO OTHER PURPOSE. At any time you may opt to disallow cookies from this website - this will not affect other features of this website.

We examine cookies that are used by third-parties (banner and online ads) very closely: abuse from third-parties automatically results in termination of the advertising contract without refund. We have very good reason to believe that the cookies that are produced by third parties (banner ads) do NOT cause any privacy or security risk.

FreeStatistics.org is safe. There is no need to download any software to use the applications and services contained in this website. Hence, your system's security is not compromised by their use, and your personal data - other than data you submit in the account application form, and the user-agent information that is transmitted by your browser - is never transmitted to our servers.

As a general rule, we do not log on-line behavior of individuals (other than normal logging of webserver 'hits'). However, in cases of abuse, hacking, unauthorized access, Denial of Service attacks, illegal copying, hotlinking, non-compliance with international webstandards (such as robots.txt), or any other harmful behavior, our system engineers are empowered to log, track, identify, publish, and ban misbehaving individuals - even if this leads to ban entire blocks of IP addresses, or disclosing user's identity.

FreeStatistics.org is powered by